What are the steps to follow to learn artificial intelligence?
A really good introduction is the Berkeley CS188 class videos and projects.  You can find those materials at http://ai.berkeley.edu/home.html

You probably also want to get ahold of a copy of Artificial Intelligence: A Modern Approach by Norvig and Russell. 

For more on the "machine learning" aspects of AI, including an introduction to Neural Networks, take the Andrew Ng "Machine Learning" class on Coursera.

Another book I would recommend is Introduction to Artificial Intelligence by Philip C. Jackson. It's older, which is exactly what makes it valuable.  It's a good overview of techniques and ideas that aren't "en vogue" right now, but which may still be useful to you.